中美利差

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王晋斌:人民币汇率走出了理想运行轨迹
Sou Hu Cai Jing· 2025-04-24 02:38
来源:人大CMF 王晋斌 中国人民大学经济学院原常务副书记、国家发展与战略研究院研究员、中国宏观经济论坛(CMF)主要成员 本文字数:1851字 阅读时间:5分钟 在当前各种冲突叠加,外部环境复杂多变的背景下,对美元金融汇率稳定的好处是:有助于稳定跨境资本流动,并进一步稳定人民币汇率预期。对一篮子 货币贸易汇率较大幅度贬值的好处是:有利于出口。 美元指数大幅度下行,在相当程度上已经脱离了传统的利率平价关系。换言之,在利率平价关系等式一侧添加了风险溢价因子,风险溢价主要是对美国激 进关税政策等的补偿。与年初相比,十年期美国国债收益率从年初的4.57%下行至4月22日的4.41%,仅下行16个BP,而欧元区、日本以及英国十年期国债 上行基本在20个BP以下,美元指数竟然下行了近9%,美元出现了美国激进政策叙事导致的阶段性贬值"超调"迹象。 与去年底和今年初相比,十年期中国国债收益率在4月22日基本还处在1.65%左右。中美十年期国债收益率之差变化不大,如果纯粹从利差来看,人民币 汇率不发生较大变化也属于正常。从今年以来人民币汇率中间价和收盘价之差来看,人民币略有贬值压力,主要还是受到了关税摩擦等因素带来的预期影 ...
美元失锚,资金转向市场分析
Hua Tai Qi Huo· 2025-04-20 11:20
期货研究报告|外汇周报 2025-04-20 美元失锚,资金转向 研究院 FICC 组 研究员 蔡劭立 0755-23887993 caishaoli@htfc.com 从业资格号:F3063489 投资咨询号:Z0014617 高聪 021-60828524 gaocong@htfc.com 从业资格号:F3063338 投资咨询号:Z0016648 联系人 朱思谋 0755-23887993 zhusimou@htfc.com 从业资格号:F03142856 投资咨询业务资格: 证监许可【2011】1289 号 市场分析 美元兑人民币 日元:日元整体维持强势,美元兑日元一度跌破 142 关口,创下去年 9 月以来新低。 日本央行行长植田和男重申加息倾向,称若潜在通胀持续回升,将考虑继续加息,但 同时强调美国关税的不确定性可能对日本经济造成压力,政策调整将更具审慎性。美 人民币表现相对稳健,在美元走弱的背景下,美元兑人民币高位回落至 7.30 附近。尽 管中美利差仍处于倒挂状态,对人民币上行构成一定约束,但一季度中国出口同比增 长 6.9%、3 月出口同比增速更是达到 12%以上,显示外需韧性仍在,为人民币 ...
银行跨境流动性跟踪:人民币兑美元大幅升值,中美利差稳定
GF SECURITIES· 2025-03-11 08:39
Investment Rating - The industry investment rating is "Buy" [4] Core Insights - The report highlights a significant appreciation of the Renminbi against the US dollar, with the SDR to Renminbi exchange rate increasing by 1.13% during the observation period [4][10] - The report notes that the China-US interest rate differential remains stable, with the 10-year US Treasury yield rising by 8 basis points, while the 10-year Chinese government bond yield increased by 9 basis points [4][11] - The performance of Chinese assets in the US market has been strong, with the Nasdaq China Golden Dragon Index rising by 4.93%, outperforming the Nasdaq Index, which fell by 3.45% [4][11] Summary by Sections 1. Arbitrage Trading Returns - The report indicates that the Renminbi has depreciated primarily due to the strengthening of non-US currencies, with the SDR to Renminbi exchange rate at 9.64 at the end of the observation period [10] - The interest rate differential between China and the US is stable, with the 6M, 1Y, 5Y, 10Y, and 30Y differentials at -2.67%, -2.50%, -2.42%, -2.52%, and -2.65% respectively [11] - The actual annual yield from arbitrage trading on US Treasuries in Renminbi terms is calculated at 2.33% for the 10-year bonds, reflecting a decrease of 0.79 percentage points from the previous period [11] 2. SDR Major Economies Tracking - The report tracks the performance of major economies, noting that the US unemployment rate rose to 4.1% in February, higher than expected, while the manufacturing PMI fell to 50.3 [4][11] - In Europe, the ECB's hawkish stance led to a significant appreciation of the Euro, with the ECB lowering key rates by 25 basis points [10][11] - The report also highlights the performance of the A-share market, which rose by 2.43% during the observation period, indicating a strong performance compared to other major economies [11]
宏观|如何看待人民币的“均衡”汇率?
中信证券研究· 2025-03-02 11:02
Core Viewpoints - The article analyzes the current real exchange rate of the RMB from the perspectives of export demand, capital flow, and exchange rate determination theory, concluding that the RMB is currently reasonably valued and may experience short-term fluctuations within a specific range [1][5]. Group 1: Export and Trade Demand - The actual effective exchange rate indicates that the RMB has released downward pressure, supported by strong export performance and trade surpluses, with current account surpluses projected at $253 billion for 2023 and $422 billion for 2024 [2]. - Since 2024, the RMB has depreciated less against the USD compared to other non-USD currencies, and the RMB exchange rate index against a basket of currencies shows an upward trend [2]. Group 2: Capital Flow and Investment Demand - The estimated RMB exchange rate midpoints based on the China-US interest rate differential and risk premium are 7.50 and 7.35, respectively, indicating potential short-term depreciation pressure [3]. - The negative correlation between the China-US interest rate differential and the RMB exchange rate has been high at 93.2% since 2022, suggesting that the equilibrium exchange rate may range from 7.4 to 7.6 [3]. Group 3: Exchange Rate Determination Theory - The BEER (Behavioral Equilibrium Exchange Rate) model is deemed more effective for estimating the RMB's equilibrium exchange rate, which is projected to be between 7.3 and 7.4, with a central value of 7.35 [4]. - The relative purchasing power parity theory suggests a long-term appreciation potential of the RMB to around 6.8, while absolute purchasing power theory indicates a possible undervaluation of nearly 40% [4]. Group 4: Market Sentiment and Economic Indicators - The RMB exchange rate is expected to remain around the equilibrium midpoint of 7.30, with short-term fluctuations anticipated between 7.20 and 7.35, influenced by international balance of payments, market behavior, and sentiment [5]. - Recent manufacturing PMI data indicates a stable economic environment, with the manufacturing sector showing resilience and potential for recovery in PPI readings [6].